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Spillover connectedness between oil and China's industry stock markets: A perspective of carbon emissions

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  • Zhang, Yingying
  • Xu, Shaojun

Abstract

From a new perspective on industry carbon emissions, we divide 34 stock industries in China into three portfolios (Clean Portfolio, Dirty Portfolio, and Ordinary Portfolio). Using a network connectedness approach, we examine the return and volatility spillover connectedness between oil and these three portfolios. We find that Clean Portfolio is the spillover “sender”, and Dirty Portfolio and Brent, especially Brent, are the “receivers”. It reflects the policy-driven feature of Chinese stock market, with a great increasing number of low-carbon industry supporting polices. The return spillover is concentrated on the short-term, while the volatility spillover has a more persistent risk transmission. The public health shock impacts spillovers more than financial shocks. Our results are valuable for investors and policy makers.

Suggested Citation

  • Zhang, Yingying & Xu, Shaojun, 2023. "Spillover connectedness between oil and China's industry stock markets: A perspective of carbon emissions," Finance Research Letters, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001095
    DOI: 10.1016/j.frl.2023.103736
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    References listed on IDEAS

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    More about this item

    Keywords

    Spillover index; Time and frequency connectedness; Oil market; Industry stock market; Carbon emission;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G01 - Financial Economics - - General - - - Financial Crises
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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